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goodness-of-fit tests
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Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
HORVATH, Lajos
;
KOKOSZKA, Piotr
;
TEYSSIÈRE, Gilles
-
Center for Operations Research and Econometrics (CORE), …
-
2003
We propose and study by means of simulations and graphical tools a class of goodness-of-fit tests for
ARCH
models
. The …
Persistent link: https://www.econbiz.de/10005065302
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